arXiv
Open Access
2010
Improved Frechet bounds and model-free pricing of multi-asset options
Peter Tankov
Abstrak
Improved bounds on the copula of a bivariate random vector are computed when partial information is available, such as the values of the copula on a given subset of $[0,1]^2$, or the value of a functional of the copula, monotone with respect to the concordance order. These results are then used to compute model-free bounds on the prices of two-asset options which make use of extra information about the dependence structure, such as the price of another two-asset option.
Penulis (1)
P
Peter Tankov
Akses Cepat
Informasi Jurnal
- Tahun Terbit
- 2010
- Bahasa
- en
- Sumber Database
- arXiv
- Akses
- Open Access ✓